find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB’s SPF … and Consensus Economics compared to their counterparts that do not. The gains in forecast accuracy from incorporating … inflation expectations are typically not large but significant in some periods. Both short- and long-term expectations provide …

an accurate calibration of forecast confidence intervals, and is better suited at long horizons and in high …-volatility periods. The biggest forecast improvements are obtained by modelling time variation in the volatilities of the innovations … exchange rate predictability by macroeconomic fundamentals. Finally, an economic evaluation of the different forecast models …

COVID-19 observations and discusses their impact on prior calibration for inference and forecasting purposes. It shows that … volatility. For forecasting, the choice among outlier-robust error structures is less important, however, when a large cross …

horizon-dependent biases and lower accuracy than simple unconditional uncertainty forecasts. We examine the inflation …

with automated zero restrictions) to forecast the relevant underlying variables, and to derive the probability of the … turning point from the forecast density as the probability mass below (or above) a given threshold value. We show how this …

the pandemic period, as well as for earlier subsamples of relatively high volatility. In historical forecasting, outlier …